BA 444/544 - Financial Risk Management
Winter 2006

[Syllabus]

Tentative Schedule

Date	Topic	Reading
Week 1: 9-Jan	Introduction	Strong, Chp. 1
11-Jan	What Risks, Why Manage Them & How?	Packet Read’g #1 (HBR Article) Packet Reading #2 (Corp. Derivs. Usage)
Week 2: 16-Jan	MLK Day – No Class
18-Jan	Options & Trading Strategies	Strong, Chp. 2, 3 Strong, Chp. 4 (Skip Pgs. 70-79)
Week 3: 23-Jan	Simulation Black-Scholes Pricing	Strong,Chp. 5 (Skip Pgs. 94-119) Chp. 6 & 15 (Skip Pgs. 322-328) Class Handout (Simltn Instructions)
25-Jan	Exam #1 (Risks, Strategies & Pricing)
Week 4: 30-Jan	Pricing cont’d & Beg’g Greeks	Strong, Chp. 7 (Skip Pgs. 157-163)
1-Feb	Greeks cont’d	Strong, Chp. 7 (Skip Pgs. 157-163)
Week 5: 6-Feb	Case Study Option Hedging Examples	Packet Reading #3 (JDS Uniphase) Strong, Chp. 7 (Skip Pgs. 157-163)
8-Feb	Futures Introduction & Pricing	Strong, Chp. 8, 9 & 11
Week 6: 13-Feb	Futures Hedging Examples	Strong, Chp. 8, 9 & 11
15-Feb	Futures Arbitrage	Strong, Chp. 8, 9 & 11
Week 7: 20-Feb	Swaps: Introduction	Strong, Chp. 13 Pgs. 275-280, 287-292
22-Feb	Exam #2 (Options Hedging & Futures)
Week 8: 27-Feb	Swaps: Introduction, cont’d	Strong, Chp. 13 Pgs. 275-280, 287-292
1-Mar	Managing Interest Rate Risk	Packet Reading #4 (Interest Rate Derivs) Read Problem #1 at end of Rdg. #4.
Week 9: 6-Mar	Interest Rate Derivative Pricing	Strong, Chp. 13 Pgs. 275-280, 287-292
8-Mar	Exam #3 (Futures Hedging, Arbitrage & Interest Rate Derivatives)
Week 10: 13-Mar	Case Study	Packet Reading #5 (RBC Mortgage Capper)
15-Mar	Review, Evaluations & Wrap-Up (Due Date for Grad papers)
Final Dates and Times: MW 2-4è Tues. , 21-Mar, 2 PM MW 4-6 è Wed., 22-Mar, 2 PM Due Date for Simulation Write-Ups